Statistical properties of stock market indices of different economies |
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Institution: | 1. Department of Mathematics and Computer Science, Avram Iancu University of Cluj-Napoca, Romania;2. Romanian Institute of Science and Technology, Cluj-Napoca 400487, Romania;3. IT4Innovations, VSB - Technical University of Ostrava, 17. listopadu 2172/15, Ostrava 708 33, Czech Republic;4. Department of Applied Mathematics, VSB - Technical University of Ostrava, 17. listopadu 2172/15, Ostrava 708 33, Czech Republic |
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Abstract: | Daily changes in the logarithm of stock market index from 1997 to 2004 are analyzed for countries from three subgroups of economies classified by the International Monetary Fund (IMF): developing Asian countries, newly industrialized Asian economies and major advanced economies. For all markets, the daily changes are well fitted by a non-Gaussian stable probability density. The time evolution of the standard deviation of the daily changes for each market obeys a power law. However, the developing Asian countries have the smallest stable density characteristic parameters α and the largest exponents b of the power law, except China's SSEC and India's SENSEX. The values of α and b for these two markets are closer to those of the newly industrialized Asian economies; in particular, those for China's SSEC are close to those for Hong Kong's HSI. The values of α and b for the newly industrialized Asian economies are in between those for the developing Asian countries and major advanced economies, consistent with the results for generalized Hurst exponent Physica A 324 (2003) 183]. The daily changes for the developing Asian countries and newly industrialized Asian economies have a weak long-range correlation, whereas the daily changes for the major advanced economies have a weak long-range anti-correlation. |
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